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Some statistical models for durations and their applications in finance

Peiris, Shelton (contributor); Allen, David E. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001730512

Effects of bank funds management activities on the disintermediation of bank deposits

Allen, David E. (contributor); Parwada, Jerry T. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001770510

Some evidence on the information content of undisclosed limit orders on the ASX

Aitken, Michael J. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001770518

Performance benchmarking Australian fixed interest funds : some optimal factors

Allen, David E. (contributor); Soucik, Victor (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001770525

Are bank deposits and bank-affiliated managed funds close substitutes?

Allen, David E. (contributor); Parwada, Jerry T. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001730505

Performance benchmarking managed funds : Australian fixed interest funds

Soucik, Victor (contributor); Allen, David E. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001730509

How bank risk profiles affect their strength : an assessment of banks in the Asia-Pacific region

Allen, David E. (contributor); Chandra, Mahendra (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002254170

Forecasting the equity premium in the Australian market

Allen, David E. (contributor); De Mello, Lurion (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002254341

Applications of recursive estimation methods in statistical process control

Peiris, S.; Thavaneswaran, A.; Allen, David E.; Mellor, … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001791360

GARMA, HAR and rules of thumb for modelling realized volatility

Allen, David E.; Peiris, Shelton - In: Risks : open access journal 11 (2023) 10, pp. 1-15

This paper features an analysis of the relative effectiveness, in terms of the Adjusted R-Square, of a variety of methods of modelling realized volatility (RV), namely the use of Gegenbauer processes in Auto-Regressive Moving Average format, GARMA, as opposed to Heterogenous Auto-Regressive HAR...

Persistent link: https://www.econbiz.de/10014393082